The Box-Jenkins Steiglitz-McBride algorithm

DOI10.1016/J.AUTOMATICA.2015.12.001zbMATH Open1328.93273OpenAlexW2234916668MaRDI QIDQ905798FDOQ905798

Authors: Yucai Zhu, Håkan Hjalmarsson 

Publication date: 28 January 2016

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.12.001

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zbMATH Keywords

system identificationBox-Jenkins modelhigh-order ARX-modelingSteiglitz-McBride method

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Cites Work

• Matrix Analysis
• Title not available (Why is that?)
• The Steiglitz-McBride identification algorithm revisited--Convergence analysis and accuracy aspects
• Asymptotic properties of the least-squares method for estimating transfer functions and disturbance spectra
• Identification of the deterministic part of MIMO state space models given in innovations form from input-output data
• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• A Geometric Approach to Variance Analysis in System Identification
• On the uniqueness of maximum likelihood identification
• Some observations on instrumental variable methods of time-series analysis
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
• Optimal instrumental variable estimation and approximate implementations
• Test of pole-zero cancellation in estimated models
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Least squares estimation in dynamic-disturbance time series models
• Model reductions of high-order estimated models: the asymptotic ML approach

Cited In (5)

• An Application of Box-Jenkins Methodology to the Control of Gluten Addition in a Flour Mill
• Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting
• Box-Jenkins identification revisited. I: Theory
• Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method
• Box-jenkins identification revisited-part III: multivariable systems

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